$L^p$ solutions of doubly reflected BSDEs under general assumptions

Abstract

Under a generalized Mokobodzki condition for reflected BSDEs with two continuous barriers which relates the growth of the generator $g$ and that of the barriers, we establish several existence and uniqueness results on $L^p(p>1)$ solutions of doubly reflected BSDEs with generators satisfying a one-sided Osgood condition together with a general growth in the state variable $y$, and a uniform continuity condition or a linear growth condition in the state variable $z$. This Mokobodzki condition is also proved to be necessary for existence of the $L^p$ solutions. And, we prove that the $L^p$ solutions can be approximated by the penalization method and by some sequences of the $L^p$ solutions of doubly reflected BSDEs.

41 pages